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On the sequential construction of optimum bounded designs

Abstract : We consider a parameter estimation problem with independent observations where one samples from a finite population of independent and identically distributed experimental conditions X. The size of the population is N but only n samples, a proportion alpha of N, can be used. The quality of a sample is measured by a regular optimality criterion phi(.) based on the information matrix, such as the D-criterion. The construction of an optimal approximate design bounded by mu/alpha, with mu the probability measure of X, can be used to construct a sampling strategy which is asymptotically optimum (when the size N of the population tends to infinity). We show that a sequential strategy which does not require any information on mu is also asymptotically optimum. Some possible applications are indicated.
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Contributor : Luc Pronzato <>
Submitted on : Friday, September 11, 2009 - 6:08:02 PM
Last modification on : Monday, October 12, 2020 - 10:30:32 AM
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Luc Pronzato. On the sequential construction of optimum bounded designs. Journal of Statistical Planning and Inference, Elsevier, 2006, 136, pp.2783 - 2804. ⟨10.1016/j.jspi.2004.10.020⟩. ⟨hal-00416063⟩



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